Articles by OSM

More factors, more variance…explained

January 15, 2021 | OSM

Risk factor models are at the core of quantitative investing. We’ve been exploring their application within our portfolio series to see if we could create such a model to quantify risk better than using a simplistic volatility measure. That is, given our four portfolios (Satisfactory, Naive, Max Sharpe, and ...
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Macro variance

December 31, 2020 | OSM

In our last post, we looked at using a risk factor model to identify potential sources of variance for our 30,000 portfolio simulations. We introduced the process with a view ultimately to construct a model that could help to quantify, and thus mitigate, sources of risk beyond a simplistic volatility measure. ...
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Python-bloggers

December 28, 2020 | OSM

Python-bloggers aggregates blogs focused on using Python’s data analysis super-power for data science, machine learning, and statistics. Brought to you by the same folks that publish the hugely popular R-bloggers, it is well worth a read. Check it... [...Read more...]

Quantocracy

December 28, 2020 | OSM

Quantocracy is a great resource for all things related to quantitative and empirical investing. We learn something every time we visit. Expand your knowledge here!
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R-bloggers

December 28, 2020 | OSM

R-bloggers is a great resource. We visit the website almost every day. Shouldn’t you? Have a look https://www.r-bloggers.com/. [...Read more...]

Explaining variance

December 14, 2020 | OSM

We’re returning to our portfolio discussion after detours into topics on the put-write index and non-linear correlations. We’ll be investigating alternative methods to analyze, quantify, and mitigate risk, including risk-constrained optimization, a topic that figures large in factor research. The main idea is that there are certain risks ...
[...Read more...]

Explaining variance

December 14, 2020 | OSM

We’re returning to our portfolio discussion after detours into topics on the put-write index and non-linear correlations. We’ll be investigating alternative methods to analyze, quantify, and mitigate risk, including risk-constrained optimization, a topic that figures large in factor research. The main idea is that there are certain risks ...
[...Read more...]

Round about the kernel

November 12, 2020 | OSM

In our last post, we took our analysis of rolling average pairwise correlations on the constituents of the XLI ETF one step further by applying kernel regressions to the data and comparing those results with linear regressions. Using a cross-validat...
[...Read more...]

Round about the kernel

November 12, 2020 | OSM

In our last post, we took our analysis of rolling average pairwise correlations on the constituents of the XLI ETF one step further by applying kernel regressions to the data and comparing those results with linear regressions. Using a cross-validat...
[...Read more...]

Round about the kernel

November 12, 2020 | OSM

In our last post, we took our analysis of rolling average pairwise correlations on the constituents of the XLI ETF one step further by applying kernel regressions to the data and comparing those results with linear regressions. Using a cross-validat...
[...Read more...]
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